10. New financial functions
34 pre-compiled financial functions were shipped with SAS for free, which can be called in DATA step.
9. A management GUI
There is a nice-looking Java-powered GUI to manage the user-defined functions: SAS FCmp functi…
Tag: credit risk
Test A-IRB approach for credit rating
Basel II or Basel III framework would allow qualified financial institutions to apply their own rating systems for credit risks, such as advanced internal ratings-based approach (A-IRB). The equations of required capital play a big role…
Modeling loss given default (LGD) by finite mixture model
The ‘highly skewed’ and ‘highly irregular’ loss data from the insurance and banking world is routinely fitted by a simple beta/ lognormal/gamma/Pareto distribution. While looking at the distribution plot, I bet that many people don’t want to buy this…
Modeling loss given default (LGD) by finite mixture model
The ‘highly skewed’ and ‘highly irregular’ loss data from the insurance and banking world is routinely fitted by a simple beta/ lognormal/gamma/Pareto distribution. While looking at the distribution plot, I bet that many people don’t want to buy this…
Modeling loss given default (LGD) by finite mixture model
The ‘highly skewed’ and ‘highly irregular’ loss data from the insurance and banking world is routinely fitted by a simple beta/ lognormal/gamma/Pareto distribution. While looking at the distribution plot, I bet that many people don’t want to buy this…
Play Basel II Accord with SAS (2): portfolio simulation
Although Basel II largely depends on probability instead of generalized linear model that SAS is especially good at, still SAS’ excellent data manipulation and visualization features make it one of the finest tools to explore and implement this acco…
Play Basel II Accord with SAS (2): portfolio simulation
Although Basel II largely depends on probability instead of generalized linear model that SAS is especially good at, still SAS’ excellent data manipulation and visualization features make it one of the finest tools to explore and implement this acco…
Play Basel II Accord with SAS (2): portfolio simulation
Although Basel II largely depends on probability instead of generalized linear model that SAS is especially good at, still SAS’ excellent data manipulation and visualization features make it one of the finest tools to explore and implement this acco…